feat: allow AMM base price to be automatically amended by an oracle p…

CHANGELOG.md

@@ -17,6 +17,7 @@
 - [11714](https://github.com/vegaprotocol/vega/issues/11714) - Improve `AMM` performance by caching best prices and volumes.
 - [11642](https://github.com/vegaprotocol/vega/issues/11642) - `AMMs` with empty price levels are now allowed.
 - [11685](https://github.com/vegaprotocol/vega/issues/11685) - Automated purchase support added.  
+- [11732](https://github.com/vegaprotocol/vega/issues/11732) - `AMMs` can now have their base price automatically updated by a market's data source.
 - [11726](https://github.com/vegaprotocol/vega/issues/11726) - Combined `AMM` uncrossing orders for better performance when uncrossing the book.
 - [11711](https://github.com/vegaprotocol/vega/issues/11711) - Manage closed team membership by updating the allow list.
 - [11722](https://github.com/vegaprotocol/vega/issues/11722) - Expose active protocol automated purchase identifier in market data API. 

commands/amend_amm.go

@@ -68,16 +68,26 @@ func checkAmendAMM(cmd *commandspb.AmendAMM) Errors {
 		}
 	}
 
+	if cmd.MinimumPriceChangeTrigger != nil {
+		if minPriceChange, err := num.DecimalFromString(*cmd.MinimumPriceChangeTrigger); err != nil {
+			errs.AddForProperty("submit_amm.mimimum_price_change_trigger", ErrIsNotValid)
+		} else if minPriceChange.LessThan(num.DecimalZero()) {
+			errs.AddForProperty("submit_amm.proposed_fee", ErrMustBePositiveOrZero)
+		}
+	}
+
 	if cmd.ConcentratedLiquidityParameters != nil {
+		var haveLower, haveUpper, emptyBase bool
 		hasUpdate = true
 		var base, lowerBound, upperBound *big.Int
-		if base, _ = big.NewInt(0).SetString(cmd.ConcentratedLiquidityParameters.Base, 10); base == nil {
+		if len(cmd.ConcentratedLiquidityParameters.Base) == 0 {
+			emptyBase = true
+		} else if base, _ = big.NewInt(0).SetString(cmd.ConcentratedLiquidityParameters.Base, 10); base == nil {
 			errs.FinalAddForProperty("amend_amm.concentrated_liquidity_parameters.base", ErrIsNotValidNumber)
 		} else if base.Cmp(big.NewInt(0)) <= 0 {
 			errs.AddForProperty("amend_amm.concentrated_liquidity_parameters.base", ErrMustBePositive)
 		}
 
-		var haveLower, haveUpper bool
 		if cmd.ConcentratedLiquidityParameters.LowerBound != nil {
 			haveLower = true
 			if lowerBound, _ = big.NewInt(0).SetString(*cmd.ConcentratedLiquidityParameters.LowerBound, 10); lowerBound == nil {
@@ -124,11 +134,19 @@ func checkAmendAMM(cmd *commandspb.AmendAMM) Errors {
 		}
 
 		if len(cmd.SlippageTolerance) <= 0 {
-			errs.AddForProperty("submit_amm.slippage_tolerance", ErrIsRequired)
+			errs.AddForProperty("amend_amm.slippage_tolerance", ErrIsRequired)
 		} else if slippageTolerance, err := num.DecimalFromString(cmd.SlippageTolerance); err != nil {
-			errs.AddForProperty("submit_amm.slippage_tolerance", ErrIsNotValidNumber)
+			errs.AddForProperty("amend_amm.slippage_tolerance", ErrIsNotValidNumber)
 		} else if slippageTolerance.LessThan(num.DecimalZero()) {
-			errs.AddForProperty("submit_amm.slippage_tolerance", ErrMustBePositive)
+			errs.AddForProperty("amend_amm.slippage_tolerance", ErrMustBePositive)
+		}
+
+		if cmd.ConcentratedLiquidityParameters.DataSourceId == nil && emptyBase {
+			errs.AddForProperty("amend_amm.concentrated_liquidity_parameters.base", ErrIsRequired)
+		}
+
+		if cmd.ConcentratedLiquidityParameters.DataSourceId != nil && !IsVegaID(*cmd.ConcentratedLiquidityParameters.DataSourceId) {
+			errs.AddForProperty("amend_amm.data_source_id", ErrShouldBeAValidVegaID)
 		}
 	}
 

commands/amend_amm_test.go

@@ -125,7 +125,7 @@ func TestCheckAmendAMM(t *testing.T) {
 					Base: "",
 				},
 			},
-			errStr: "amend_amm.concentrated_liquidity_parameters.base (is not a valid number)",
+			errStr: "amend_amm.concentrated_liquidity_parameters.base (is required)",
 		},
 		{
 			submission: commandspb.AmendAMM{

commands/submit_amm.go

@@ -64,20 +64,28 @@ func checkSubmitAMM(cmd *commandspb.SubmitAMM) Errors {
 		errs.AddForProperty("submit_amm.proposed_fee", ErrMustBePositive)
 	}
 
+	if cmd.MinimumPriceChangeTrigger != nil {
+		if minPriceChange, err := num.DecimalFromString(*cmd.MinimumPriceChangeTrigger); err != nil {
+			errs.AddForProperty("submit_amm.mimimum_price_change_trigger", ErrIsNotValid)
+		} else if minPriceChange.LessThan(num.DecimalZero()) {
+			errs.AddForProperty("submit_amm.proposed_fee", ErrMustBePositiveOrZero)
+		}
+	}
+
 	if cmd.ConcentratedLiquidityParameters == nil {
 		errs.FinalAddForProperty("submit_amm.concentrated_liquidity_parameters", ErrIsRequired)
 	} else {
+		var emptyLower, emptyUpper, emptyBase bool
 		var base, lowerBound, upperBound *big.Int
 
 		if len(cmd.ConcentratedLiquidityParameters.Base) <= 0 {
-			errs.FinalAddForProperty("submit_amm.concentrated_liquidity_parameters.base", ErrIsRequired)
+			emptyBase = true
 		} else if base, _ = big.NewInt(0).SetString(cmd.ConcentratedLiquidityParameters.Base, 10); base == nil {
 			errs.FinalAddForProperty("submit_amm.concentrated_liquidity_parameters.base", ErrIsNotValidNumber)
 		} else if base.Cmp(big.NewInt(0)) <= 0 {
 			errs.AddForProperty("submit_amm.concentrated_liquidity_parameters.base", ErrMustBePositive)
 		}
 
-		var emptyLower, emptyUpper bool
 		if cmd.ConcentratedLiquidityParameters.LowerBound == nil {
 			emptyLower = true
 		} else if len(*cmd.ConcentratedLiquidityParameters.LowerBound) <= 0 {
@@ -139,6 +147,14 @@ func checkSubmitAMM(cmd *commandspb.SubmitAMM) Errors {
 		if base != nil && upperBound != nil && base.Cmp(upperBound) >= 0 {
 			errs.AddForProperty("submit_amm.concentrated_liquidity_parameters.base", errors.New("should be a smaller value than upper_bound"))
 		}
+
+		if cmd.ConcentratedLiquidityParameters.DataSourceId == nil && emptyBase {
+			errs.AddForProperty("submit_amm.concentrated_liquidity_parameters.base", ErrIsRequired)
+		}
+
+		if cmd.ConcentratedLiquidityParameters.DataSourceId != nil && !IsVegaID(*cmd.ConcentratedLiquidityParameters.DataSourceId) {
+			errs.AddForProperty("submit_amm.data_source_id", ErrShouldBeAValidVegaID)
+		}
 	}
 
 	return errs

core/events/amm_pool.go

@@ -54,21 +54,23 @@ func NewAMMPoolEvent(
 	fees num.Decimal,
 	lowerCurve *AMMCurve,
 	upperCurve *AMMCurve,
+	minimumPriceChangeTrigger num.Decimal,
 ) *AMMPool {
 	return &AMMPool{
 		Base: newBase(ctx, AMMPoolEvent),
 		pool: &eventspb.AMM{
-			Id:           poolID,
-			PartyId:      party,
-			MarketId:     market,
-			AmmPartyId:   ammParty,
-			Commitment:   commitment.String(),
-			Parameters:   p.ToProtoEvent(),
-			Status:       status,
-			StatusReason: statusReason,
-			ProposedFee:  fees.String(),
-			LowerCurve:   lowerCurve.ToProtoEvent(),
-			UpperCurve:   upperCurve.ToProtoEvent(),
+			Id:                        poolID,
+			PartyId:                   party,
+			MarketId:                  market,
+			AmmPartyId:                ammParty,
+			Commitment:                commitment.String(),
+			Parameters:                p.ToProtoEvent(),
+			Status:                    status,
+			StatusReason:              statusReason,
+			ProposedFee:               fees.String(),
+			LowerCurve:                lowerCurve.ToProtoEvent(),
+			UpperCurve:                upperCurve.ToProtoEvent(),
+			MinimumPriceChangeTrigger: minimumPriceChangeTrigger.String(),
 		},
 	}
 }

core/execution/amm/engine.go

@@ -695,6 +695,8 @@ func (e *Engine) Create(
 		e.positionFactor,
 		e.maxCalculationLevels,
 		e.allowedEmptyAMMLevels,
+		submit.SlippageTolerance,
+		submit.MinimumPriceChangeTrigger,
 	)
 	if err != nil {
 		return nil, err
@@ -727,7 +729,6 @@ func (e *Engine) Confirm(
 		logging.String("poolID", pool.ID),
 	)
 
-	pool.status = types.AMMPoolStatusActive
 	pool.maxCalculationLevels = e.maxCalculationLevels
 
 	e.add(pool)
@@ -772,6 +773,23 @@ func (e *Engine) Amend(
 	return updated, pool, nil
 }
 
+// GetDataSourcedAMMs returns any AMM's whose base price is determined by the given data source ID.
+func (e *Engine) GetDataSourcedAMMs(dataSourceID string) []*Pool {
+	pools := []*Pool{}
+	for _, p := range e.poolsCpy {
+		if p.Parameters.DataSourceID == nil {
+			continue
+		}
+
+		if *p.Parameters.DataSourceID != dataSourceID {
+			continue
+		}
+
+		pools = append(pools, p)
+	}
+	return pools
+}
+
 func (e *Engine) CancelAMM(
 	ctx context.Context,
 	cancel *types.CancelAMM,
@@ -849,6 +867,7 @@ func (e *Engine) sendUpdate(ctx context.Context, pool *Pool) {
 				VirtualLiquidity:    pool.upper.l,
 				TheoreticalPosition: pool.upper.pv,
 			},
+			pool.MinimumPriceChangeTrigger,
 		),
 	)
 }